Signature | Description | Parameters |
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#include <DataFrame/DataFrameFinancialVisitors.h> template<typename T, typename I = unsigned long> struct DrawdownVisitor; |
This is a “single action visitor”, meaning it is passed the whole data vector in one call and you must use the single_act_visit() interface. This visitor calculates drawdown time-series. The result() method returns the dollar drawdown vector which has the same size as the given column There are two other methods: get_log_drawdown() // It returns the log drawdown vector get_pct_drawdown() // It returns the percentage drawdown vector |
T: Column data type I: Index type |
static void test_DrawdownVisitor() { std::cout << "\nTesting DrawdownVisitor{ } ..." << std::endl; std::vector<unsigned long> idx = { 123450, 123451, 123452, 123453, 123454, 123455, 123456, 123457, 123458, 123459, 123460, 123461, 123462, 123466, 123467, 123468, 123469, 123470, 123471, 123472, 123473, }; std::vector<double> close = { 121, 122, 124, 124.5, 135.5, 132, 128, 127, 126, 125, 126.5, 127, 120, 135.6, 116, 116.5, 114, 112, 109, 136, 111, }; MyDataFrame df; df.load_data(std::move(idx), std::make_pair("close", close)); DrawdownVisitor<double> dd_v; df.single_act_visit<double>("close", dd_v); assert(dd_v.get_result().size() == 21); assert(dd_v.get_log_drawdown().size() == 21); assert(dd_v.get_pct_drawdown().size() == 21); assert(dd_v.get_result()[0] == 0); assert(dd_v.get_log_drawdown()[0] == 0); assert(dd_v.get_pct_drawdown()[0] == 0); assert(dd_v.get_result()[3] == 0); assert(dd_v.get_log_drawdown()[3] == 0); assert(dd_v.get_pct_drawdown()[3] == 0); assert(dd_v.get_result()[13] == 0); assert(dd_v.get_log_drawdown()[13] == 0); assert(dd_v.get_pct_drawdown()[13] == 0); assert(dd_v.get_result()[19] == 0); assert(dd_v.get_log_drawdown()[19] == 0); assert(dd_v.get_pct_drawdown()[19] == 0); assert(dd_v.get_result()[8] == 9.5); assert(std::abs(dd_v.get_log_drawdown()[8] - 0.0726897) < 0.000001); assert(std::abs(dd_v.get_pct_drawdown()[8] - 0.0701107) < 0.000001); assert(std::abs(dd_v.get_result()[15] - 19.1) < 0.00001); assert(std::abs(dd_v.get_log_drawdown()[15] - 0.151818) < 0.00001); assert(std::abs(dd_v.get_pct_drawdown()[15] - 0.140855) < 0.00001); assert(std::abs(dd_v.get_result()[20] - 25) < 0.00001); assert(std::abs(dd_v.get_log_drawdown()[20] - 0.203125) < 0.00001); assert(std::abs(dd_v.get_pct_drawdown()[20] - 0.183824) < 0.00001); }